Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 4 | 2 | 2 |
| Score | -2.45 | -4.07 | -5.56 |
| Market Cap (Millions USD) | 1660.35 | 1606.15 | 1674.05 |
| Predicted Beta | 0.29 | 0.28 | 0.3 |
| Idiosyncratic Volatility | 1.63 | 1.32 | 2.22 |
Annualized return and volatility
| IEV | |
|---|---|
| Annualized Return | 0.0364 |
| Annualized Std Dev | 0.2270 |
| Annualized Sharpe (Rf=0%) | 0.1604 |
Row
Daily Return Statistics
| IEV | |
|---|---|
| Observations | 4966.0000 |
| NAs | 148.0000 |
| Minimum | -0.1095 |
| Quartile 1 | -0.0058 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0071 |
| Maximum | 0.1375 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0143 |
| Skewness | -0.0989 |
| Kurtosis | 8.9866 |
Downside Risk
| IEV | |
|---|---|
| Semi Deviation | 0.0103 |
| Gain Deviation | 0.0102 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0102 |
| Downside Deviation (0%) | 0.0102 |
| Maximum Drawdown | 0.6327 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0347 |
| Modified VaR (95%) | -0.0211 |
| Modified ES (95%) | -0.0322 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2014-06-05 | -0.6327 | 1689 | 348 | 1341 |
| 2000-09-05 | 2003-03-12 | 2004-12-27 | -0.4820 | 1102 | 643 | 459 |
| 2014-07-07 | 2016-02-11 | 2017-07-20 | -0.2602 | 780 | 413 | 367 |
| 2018-01-29 | 2018-12-24 | NA | -0.2298 | 490 | 233 | NA |
| 2006-05-10 | 2006-06-13 | 2006-09-27 | -0.1360 | 99 | 24 | 75 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IEV | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | -1.4 | 2.1 | 0.0 | 1.6 | 1.3 | 0 | 3.6 |
| 2001 | 0.0 | 0.3 | 0.0 | 0.1 | -1.4 | 0.0 | 0.2 | 0.0 | -1.0 | 2.2 | 0.0 | 0 | 0.3 |
| 2002 | 0.2 | 1.0 | 1.3 | 0.7 | 0.0 | 0.1 | -5.4 | 0.0 | 2.5 | 0.6 | 0.0 | 0 | 0.7 |
| 2003 | 0.0 | 0.0 | 2.0 | -0.8 | 0.0 | -0.2 | -0.3 | 0.0 | 3.0 | 0.0 | 2.4 | 0 | 6.3 |
| 2004 | 0.0 | 1.1 | 1.1 | 0.0 | 0.2 | -1.3 | 0.0 | -0.2 | 1.5 | 0.3 | 1.8 | 0 | 4.6 |
| 2005 | 1.0 | 0.6 | -0.5 | 0.0 | 0.3 | 0.1 | 1.2 | 1.0 | 0.0 | 0.5 | 1.7 | 0 | 6.1 |
| 2006 | 0.5 | 0.9 | 0.0 | -0.4 | 0.8 | 0.0 | -0.5 | 0.5 | 0.0 | -0.1 | -0.4 | 0 | 1.2 |
| 2007 | 0.8 | -1.3 | 0.0 | 0.0 | 0.9 | 0.0 | -0.1 | 0.0 | 1.0 | -2.4 | 0.0 | 0 | -1.2 |
| 2008 | 1.4 | 0.0 | 3.2 | 0.7 | 0.0 | -0.9 | -1.3 | 0.0 | -0.1 | 0.0 | -8.8 | 0 | -6.1 |
| 2009 | 0.0 | 0.0 | 2.3 | 1.2 | 2.8 | 1.5 | 0.0 | -2.8 | -3.0 | 0.0 | 2.2 | 0 | 4.2 |
| 2010 | 2.0 | 0.2 | 1.6 | 0.0 | -1.2 | 1.7 | 0.0 | 3.9 | 1.1 | -0.6 | 3.2 | 0 | 12.4 |
| 2011 | 2.5 | -1.6 | 1.2 | 0.0 | -2.8 | 0.9 | -1.6 | -1.0 | 0.0 | -4.2 | -0.6 | 0 | -7.3 |
| 2012 | 2.1 | 1.4 | 0.0 | 0.8 | -2.1 | 0.0 | 0.1 | 0.0 | 0.9 | 1.2 | 0.0 | 0 | 4.4 |
| 2013 | 1.0 | -0.5 | -0.5 | -0.6 | 0.0 | 1.2 | 1.0 | 0.0 | 0.8 | -0.6 | 0.0 | 0 | 1.8 |
| 2014 | 0.0 | 0.0 | 0.7 | 0.2 | 0.0 | 0.9 | -0.8 | 0.0 | -1.3 | 0.0 | -0.1 | 0 | -0.4 |
| 2015 | 0.0 | 0.0 | 0.9 | 0.8 | -0.7 | 0.5 | 0.0 | -2.9 | 0.0 | 0.0 | 0.7 | 0 | -0.7 |
| 2016 | -0.2 | 2.7 | -0.9 | 0.0 | -0.1 | 0.0 | -1.1 | 0.6 | 0.0 | -0.4 | -0.1 | 0 | 0.4 |
| 2017 | 0.3 | 1.2 | 0.0 | 0.4 | 0.6 | 0.0 | 0.5 | 0.2 | 0.0 | -0.1 | -0.4 | 0 | 2.8 |
| 2018 | 0.2 | -1.1 | 0.0 | -0.5 | 0.8 | 0.0 | -0.8 | 0.0 | 0.0 | 1.6 | 0.0 | 0 | 0.1 |
| 2019 | 0.1 | 0.6 | 1.2 | -0.8 | 0.0 | 0.3 | -0.4 | 0.0 | -1.1 | 0.7 | 0.0 | 0 | 0.7 |
Row
Rolling Performance Chart
Snail Trail Chart
